On irregular functionals of SDEs and the Euler scheme
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Publication:964680
DOI10.1007/s00780-009-0099-7zbMath1199.60198arXiv0712.3635OpenAlexW2006367766WikidataQ110085428 ScholiaQ110085428MaRDI QIDQ964680
Publication date: 22 April 2010
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0712.3635
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25) Functions of bounded variation, generalizations (26A45)
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